On Stratonovich and Skorohod stochastic calculus for Gaussian processes

Details On Stratonovich and Skorohod stochastic calculus for Gaussian processes On Stratonovich and Skorohod stochastic calculus for Gaussian processes

2011-01-18

arxiv.org/abs/1101.3441v1

Mathematics

Probability

43 pages

Scientific paper

In this article, we derive a Stratonovich and Skorohod type change of
variables formula for a multidimensional Gaussian process with low H\"older
regularity (typically lower than 1/4). To this aim, we combine tools from rough
paths theory and stochastic analysis.

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